Why am I getting a message saying I need to study the list to study the section? That makes no sense, I shouldn't need to do anything other than go to my section and study it.

Adding words to your studies is pretty much centered around lists, and preferably all your lists at the same time. Adding from them, tracking their progress, listing them on the study page, all this is built around lists. This keeps things centralized, and it encourages studying everything together (which, overall, is a more efficient way to learn). Section study isn't really built or meant to be your main way of study; you'll find yourself with a frustrating amount of repetition and not a lot of progress if you study at the section level by default, jumping between all the sections you're studying. That's our way of thinking anyway... what do you think?

If you study a list, all the words you learn from the list will be entered into My Words so that they'll come up again to study in the future. Once you start studying a list, it's pretty easy to manage which sections of that list are added and which aren't. So it makes more sense to study a list rather than study a section.

If I delete the lists I don't want to study anymore will the mnemonics I created still be there if I decide to start studying from that list again at a later date?

Yes they will still be there. Custom definitions, mnemonics, and stars are all kept no matter what lists or words you remove or ban. Even using the delete all doesn't touch those three things. The only way to remove them is individually or from their respective pages.

Then I guess I'll be deleting some of my lists, thanks.